During periods of intensified physical training, reactive oxygen species (ROS) release may exceed the protective capacity of the antioxidant system and lead to dysregulation within the inflammatory and neuroendocrinological systems. Consequently, the efficacy of exogenous antioxidant supplementation to maintain the oxidative balance in states of exercise stress has been widely investigated. The aim of this review was to (1) collate the findings of prior research on the effect of intensive physical training on oxidant–antioxidant balance; (2) summarise the influence of antioxidant supplementation on the reduction-oxidation signalling pathways involved in physiological adaptation; and (3) provide a synopsis on the interactions between the oxidative, inflammatory and neuroendocrinological response to exercise stimuli. Based on prior research, it is evident that ROS are an underlying aetiology in the adaptive process; however, the impact of antioxidant supplementation on physiological adaptation remains unclear. Equivocal results have been reported on the impact of antioxidant supplementation on exercise-induced gene expression. Further research is required to establish whether the interference of antioxidant supplementation consistently observed in animal-based and in vivo research extends to a practical sports setting. Moreover, the varied results reported within the literature may be due to the hormetic response of oxidative, inflammatory and neuroendocrinological systems to an exercise stimulus. The collective findings suggest that intensified physical training places substantial stress on the body, which can manifest as an adaptive or maladaptive physiological response. Additional research is required to determine the efficacy of antioxidant supplementation to minimise exercise-stress during intensive training and promote an adaptive state.